ISyE Seminar - Runze Li

Event Details
  • Date/Time:
    • Wednesday April 12, 2017
      3:00 pm - 4:00 pm
  • Location: Groseclose 402
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  • Fee(s):
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Summaries

Summary Sentence: ISyE Seminar - Runze Li

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TITLE:  Projection Test for High-Dimensional Mean Vectors with Optimal Direction

ABSTRACT:

Testing the population mean is fundamental in statistical inference. When the dimensionality of  a population is high, traditional Hotelling's T2 test becomes practically infeasible.  In this paper, we propose a new testing method for high-dimensional mean vectors. The new method  projects the original sample to a lower-dimensional space and carries out a test with the projected sample. We derive the theoretical optimal direction with which the projection test possesses the best power under alternatives. We further propose an estimation procedure for the optimal direction, so that the resulting test is an exact $t$-test under the normality assumption and an asymptotic chi-square test with 1 degree of freedom without the normality assumption. Monte Carlo simulation studies show that the new test can be much more powerful than the existing methods, while it also well retains Type I error rate.

 

Additional Information

In Campus Calendar
No
Groups

School of Industrial and Systems Engineering (ISYE)

Invited Audience
Faculty/Staff, Public, Undergraduate students, Graduate students
Categories
Seminar/Lecture/Colloquium
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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Jan 10, 2017 - 10:18am
  • Last Updated: Apr 13, 2017 - 5:13pm